Nonnegative elastic net and application in index tracking
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Publication:2396496
DOI10.1016/j.amc.2013.11.049zbMath1364.91156OpenAlexW2000260853MaRDI QIDQ2396496
Publication date: 8 June 2017
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2013.11.049
Related Items (22)
Penalized and constrained LAD estimation in fixed and high dimension ⋮ Nonnegative adaptive Lasso for ultra-high dimensional regression models and a two-stage method applied in financial modeling ⋮ Model selection consistency of Lasso for empirical data ⋮ Cardinality-constrained risk parity portfolios ⋮ Nonparametric estimation of the random coefficients model: an elastic net approach ⋮ Rates of convergence of the adaptive elastic net and the post-selection procedure in ultra-high dimensional sparse models ⋮ Nonnegative estimation and variable selection via adaptive elastic-net for high-dimensional data ⋮ An integrated precision matrix estimation for multivariate regression problems ⋮ High-dimensional sparse index tracking based on a multi-step convex optimization approach ⋮ One-step sparse estimates in the reverse penalty for high-dimensional correlated data ⋮ Minute-ahead stock price forecasting based on singular spectrum analysis and support vector regression ⋮ Efficient sparse portfolios based on composite quantile regression for high-dimensional index tracking ⋮ Risk-allocation-based index tracking ⋮ Variable selection and regularization via arbitrary rectangle-range generalized elastic net ⋮ High-dimensional sparse portfolio selection with nonnegative constraint ⋮ An index tracking model with stratified sampling and optimal allocation ⋮ High-dimensional index tracking based on the adaptive elastic net ⋮ Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach ⋮ A dual based semismooth Newton-type algorithm for solving large-scale sparse Tikhonov regularization problems ⋮ High-dimensional sign-constrained feature selection and grouping ⋮ Nonnegative estimation and variable selection under minimax concave penalty for sparse high-dimensional linear regression models ⋮ Multivariate sparse Laplacian shrinkage for joint estimation of two graphical structures
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